Weekly recap of the crypto derivatives markets by BlockScholes.
BTC futures term structure regains its positive slope
Annualised Futures Implied Yields
Annualised Futures Implied Yields Table
NB: Data from the past week is plotted in block colour, whilst dotted lines denote data from between 30 and 7 days before publishing date.
Bitcoin Volatility Metrics
Implied volatility returns to normal shape after the LUNA blow up at the beginning of the month
Put skew remains near to all-time highs
ATM Implied Volatility Table
NB: Data from the past week is plotted regularly, whilst dotted lines denote data from more than 7 days before publishing
BTC 24th June Expiry smiles
SABR and SVI Smile Calibrations.
The smile steepens but skew towards puts remains high
1 Month SABR Implied Vol Smile.
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